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SPBO vs. SPHY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between SPBO and SPHY is 0.27, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


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Performance

SPBO vs. SPHY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Portfolio Corporate Bond ETF (SPBO) and SPDR Portfolio High Yield Bond ETF (SPHY). The values are adjusted to include any dividend payments, if applicable.

30.00%40.00%50.00%60.00%70.00%80.00%JulyAugustSeptemberOctoberNovemberDecember
38.51%
77.76%
SPBO
SPHY

Key characteristics

Sharpe Ratio

SPBO:

0.49

SPHY:

2.03

Sortino Ratio

SPBO:

0.72

SPHY:

2.92

Omega Ratio

SPBO:

1.08

SPHY:

1.37

Calmar Ratio

SPBO:

0.23

SPHY:

3.74

Martin Ratio

SPBO:

1.69

SPHY:

14.64

Ulcer Index

SPBO:

1.70%

SPHY:

0.58%

Daily Std Dev

SPBO:

5.88%

SPHY:

4.21%

Max Drawdown

SPBO:

-22.04%

SPHY:

-21.97%

Current Drawdown

SPBO:

-7.46%

SPHY:

-1.07%

Returns By Period

In the year-to-date period, SPBO achieves a 2.66% return, which is significantly lower than SPHY's 8.37% return. Over the past 10 years, SPBO has underperformed SPHY with an annualized return of 2.46%, while SPHY has yielded a comparatively higher 4.57% annualized return.


SPBO

YTD

2.66%

1M

-0.28%

6M

2.10%

1Y

2.94%

5Y*

0.56%

10Y*

2.46%

SPHY

YTD

8.37%

1M

-0.16%

6M

5.22%

1Y

8.23%

5Y*

4.32%

10Y*

4.57%

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SPBO vs. SPHY - Expense Ratio Comparison

SPBO has a 0.03% expense ratio, which is lower than SPHY's 0.10% expense ratio. Despite the difference, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.


Expense ratio chart for SPHY: current value at 0.10% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.10%
Expense ratio chart for SPBO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

SPBO vs. SPHY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Portfolio Corporate Bond ETF (SPBO) and SPDR Portfolio High Yield Bond ETF (SPHY). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


The chart of Sharpe ratio for SPBO, currently valued at 0.49, compared to the broader market0.002.004.000.492.03
The chart of Sortino ratio for SPBO, currently valued at 0.72, compared to the broader market-2.000.002.004.006.008.0010.000.722.92
The chart of Omega ratio for SPBO, currently valued at 1.08, compared to the broader market0.501.001.502.002.503.001.081.37
The chart of Calmar ratio for SPBO, currently valued at 0.23, compared to the broader market0.005.0010.0015.000.233.74
The chart of Martin ratio for SPBO, currently valued at 1.69, compared to the broader market0.0020.0040.0060.0080.00100.001.6914.64
SPBO
SPHY

The current SPBO Sharpe Ratio is 0.49, which is lower than the SPHY Sharpe Ratio of 2.03. The chart below compares the historical Sharpe Ratios of SPBO and SPHY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.49
2.03
SPBO
SPHY

Dividends

SPBO vs. SPHY - Dividend Comparison

SPBO's dividend yield for the trailing twelve months is around 5.28%, less than SPHY's 7.81% yield.


TTM20232022202120202019201820172016201520142013
SPBO
SPDR Portfolio Corporate Bond ETF
5.28%4.73%3.54%2.65%2.84%3.46%3.60%3.15%3.09%3.07%3.21%3.76%
SPHY
SPDR Portfolio High Yield Bond ETF
7.81%7.30%6.46%5.13%5.63%5.73%4.09%4.41%4.28%4.29%3.98%4.40%

Drawdowns

SPBO vs. SPHY - Drawdown Comparison

The maximum SPBO drawdown since its inception was -22.04%, roughly equal to the maximum SPHY drawdown of -21.97%. Use the drawdown chart below to compare losses from any high point for SPBO and SPHY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.46%
-1.07%
SPBO
SPHY

Volatility

SPBO vs. SPHY - Volatility Comparison

SPDR Portfolio Corporate Bond ETF (SPBO) has a higher volatility of 1.96% compared to SPDR Portfolio High Yield Bond ETF (SPHY) at 1.45%. This indicates that SPBO's price experiences larger fluctuations and is considered to be riskier than SPHY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%JulyAugustSeptemberOctoberNovemberDecember
1.96%
1.45%
SPBO
SPHY